Four first-half goals put Stevenage out of sight before Wednesday had even got going, and Megson admitted he was at his lowest ebb during his managerial career after the game.
"It was a really bad night for us," he said. "That's the worst I've felt as a manager - and I've been doing it a long time.
"There wasn't a performance from us, it was poor from minute one. And that carried on right the way through until the last minute.
"Managers try and put a positive spin on it, but it will be really difficult for me to do that.
"I said at half-time people will be coming off, but we could have changed the whole team because it was really unacceptable."